Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices

DOI10.1214/18-AOS1798zbMath1456.62113arXiv1711.00217OpenAlexW3042668581MaRDI QIDQ2196219

Yanyan Li

Publication date: 28 August 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.00217

zbMATH Keywords

asymptotic distributionprincipal component analysisextreme eigenvaluessample covariance matrixfactor modelTracy-Widom distributionspiked covariance matrix model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

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